News
Room change for the lecture on December 3Written on 17.11.25 by Benedikt Flierl Dear students, On Wednesday, December 3, the lecture will exceptionally take place in HS III (building E2 5, room E.2). Best regards, |
Contents
This lecture course, a sequel to Stochastics I, introduces the theory of stochastic processes in both discrete and continuous time.
Topics include:
- Conditioning on σ-algebras
- Basic concepts of stochastic processes
- Kolmogorov’s extension theorem
- Poisson process
- Brownian motion
- Martingales
- Markov processes
Lectures
- Wednesdays, 8:30-10am, Seminarraum 6 (building E2 4, room 217)
- Fridays, 10:15-11:45am, Seminarraum 6 (building E2 4, room 217)
Tutorials
Mondays, 8:30-10am, Seminarraum 1 (building E2 5, room U.37)
The first tutorial will take place on Monday, October 27.
Assignment sheets and further information will be provided on the Information/Materials page on CMS.
References
- Karatzas & Shreve, Brownian Motion and Stochastic Calculus, Springer
- Mörters & Peres: Brownian Motion, Cambridge University Press
- Williams, Probability with Martingales, Cambridge University Press
Organization
Benedikt Flierl (flierl@math.uni-sb.de)